random.shortonly: Random short only portfolio

Description

This function generates a vector of investment weights for a portfolio where the weights are non-positive, absolute weights do not exceed a given upper and and the sum of the absolute weights weights is a given total. The number of non zero positions in the portfolio is k.

Usage

random.shortonly(n = 2, k = n, segments = NULL, x.t = 1, x.l = 0, 
x.u = x.t, max.iter = 1000)

Arguments

A positive integer value for the number of investments in the portfolio

A positive integer value for the number of non zero weights

segments

A vector or list of vectors that defines the portfolio segments

x.t

A positive numeric value for the sum of the absolute value of investment weights

x.l

A positive numeric value for the lower bound on the absolute value of investment weights

x.u

A positive numeric value for the upper bound on the absolute value of investment weights

max.iter

A positive integer value for the maximum iterations in the rejection method

Value

An $n \times 1$ numeric vector of investment weights for the short only portfolio.

Details

The function random.longonly is used to generate a long only portfolio that satisfies the lower bound, upper bound and sum of weight conditions. The value returned is a vector with the opposite signs.

Examples

Run this code

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### generate short only portfolio of 30 investments with 30 non-zero positions
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x <- random.shortonly( 30 )
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### generate short only portfolio of 30 investments with 10 non-zero positions
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y <- random.shortonly( 30, 10 )